Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1206 |
| Annualized Std Dev | 0.4574 |
| Annualized Sharpe (Rf=0%) | 0.2636 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3422.0000 |
| NAs | 1.0000 |
| Minimum | -0.2360 |
| Quartile 1 | -0.0112 |
| Median | 0.0020 |
| Arithmetic Mean | 0.0009 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0142 |
| Maximum | 0.2220 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0018 |
| Variance | 0.0008 |
| Stdev | 0.0288 |
| Skewness | -0.4430 |
| Kurtosis | 7.3112 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0213 |
| Gain Deviation | 0.0196 |
| Loss Deviation | 0.0234 |
| Downside Deviation (MAR=210%) | 0.0250 |
| Downside Deviation (Rf=0%) | 0.0209 |
| Downside Deviation (0%) | 0.0209 |
| Maximum Drawdown | 0.8968 |
| Historical VaR (95%) | -0.0452 |
| Historical ES (95%) | -0.0722 |
| Modified VaR (95%) | -0.0458 |
| Modified ES (95%) | -0.0895 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-20 | 2009-03-09 | 2013-11-15 | -0.8968 | 1589 | 410 | 1179 |
| 2020-02-13 | 2020-03-23 | 2020-11-16 | -0.6648 | 193 | 27 | 166 |
| 2018-01-29 | 2018-12-24 | 2019-11-04 | -0.4384 | 429 | 212 | 217 |
| 2015-03-03 | 2016-01-20 | 2016-07-08 | -0.3116 | 283 | 187 | 96 |
| 2014-06-10 | 2014-10-14 | 2014-11-06 | -0.1926 | 104 | 87 | 17 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 0.2 | 1 | 0.5 | 0.1 | -0.4 | -1 | 2.3 | 3.5 | -4.4 | 0.8 | -2.4 | 0 |
| 2008 | 3 | -4.9 | 6.2 | 3.5 | 1.6 | -0.4 | -0.9 | -2.4 | -4.9 | 3.8 | -16.7 | 4.3 | -9.8 |
| 2009 | -5.5 | -4.1 | 3.3 | 2 | 9.3 | 1.7 | 1.3 | -3.9 | -5.3 | -5.7 | 2.7 | -2.6 | -7.6 |
| 2010 | 3 | 2.6 | 1.5 | -4.4 | -4.8 | -1.4 | 0.5 | 7.7 | 0.5 | -0.1 | 5.1 | 0 | 9.9 |
| 2011 | 3.5 | -4.1 | 1.6 | 0.5 | -5.9 | 3.5 | -1.4 | -3.2 | -6 | -6.4 | -0.8 | -0.5 | -18.1 |
| 2012 | 2.9 | 0.6 | 0.2 | 1.2 | -6 | 6.6 | -0.6 | 1.3 | 0.2 | 3.5 | 0.3 | 2.4 | 12.7 |
| 2013 | 1.8 | -0.4 | -1.8 | -2.6 | -1.1 | 0.8 | 3.1 | -1.2 | 1.3 | 0 | 0 | 0.9 | 0.6 |
| 2014 | -1.3 | 0.5 | 1.4 | 0.3 | 1 | 1.5 | -0.6 | 0 | -2.9 | 2.2 | -3 | -0.7 | -1.8 |
| 2015 | -1.3 | -0.3 | -1.6 | -0.1 | 0.5 | -0.4 | 3.1 | -6.1 | 2.1 | 0.4 | 0.1 | -2.2 | -5.9 |
| 2016 | 0.5 | 2.5 | 2 | -3.3 | -0.7 | 1.5 | -0.3 | 0.9 | 2.8 | -1.4 | -0.3 | -1.4 | 2.7 |
| 2017 | 0.2 | 4.3 | -0.1 | 0.3 | 1.1 | 2.2 | -0.7 | 0.5 | 0.3 | -0.5 | 0 | 0.3 | 8.1 |
| 2018 | -0.8 | -1.6 | 3.8 | -2.8 | 2.6 | 2.8 | -0.7 | 0.4 | 1.3 | 2.8 | 1.3 | 1.4 | 10.6 |
| 2019 | 0.5 | 1 | 4.1 | -2 | -2.4 | 0.9 | -3.4 | 0.7 | -4.3 | 3.8 | -1.1 | 0.1 | -2.5 |
| 2020 | -4.6 | -3.2 | -9.9 | -6.4 | 0.6 | -0.6 | -0.8 | 1.7 | -0.3 | -2.1 | 0.8 | 1.1 | -21.8 |
| 2021 | 2.8 | 5 | -1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 24.3 SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-05 24.5 SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
3 2007-02-06 24.4 SPY 145. 3.00e-4 0.0147 0.031 0.0593 0.148 0.284 0.319 GLD 64.8 0.0075 0.0089
4 2007-02-07 24.5 SPY 145. 2.20e-3 0.0102 0.0285 0.0635 0.147 0.283 0.330 GLD 64.6 -0.0025 -0.0031
5 2007-02-08 24.3 SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
6 2007-02-09 24.0 SPY 144. -7.40e-3 -0.006 0.017 0.0385 0.137 0.257 0.332 GLD 66.1 0.0092 0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
